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Information about:
Richard T. Baillie

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First Name: Richard
Middle Name: T.
Last Name: Baillie
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RePEc Short-ID: pba423

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Homepage: http://www.msu.edu/user/baillie
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Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach," Working Papers 593, Queen Mary, University of London, Department of Economics. [Downloadable!]

  2. Richard T. Baillie & Young-Wook Han & Robert J. Myers & Jeongseok Song, 2007. "Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices," Working Papers 594, Queen Mary, University of London, Department of Economics. [Downloadable!]

  3. Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary, University of London, Department of Economics. [Downloadable!]

  4. Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers 543, Queen Mary, University of London, Department of Economics. [Downloadable!]
    Published as:

  5. Richard T. Baillie & George Kapetanios, 2005. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 528, Queen Mary, University of London, Department of Economics. [Downloadable!]

  6. Richard T Baillie, & Young-Wook Han, 2002. "Central Bank Intervention and Properties of the 1920s Currency Markets," Finance Working Papers 159, East Asian Bureau of Economic Research. [Downloadable!]

  7. Richard T. Baillie & Owen F. Humpage & William P. Osterberg, 1999. "Intervention as information: a survey," Working Paper 9918, Federal Reserve Bank of Cleveland. [Downloadable!]

  8. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Paper 9823, Federal Reserve Bank of Cleveland. [Downloadable!]

  9. Baillie, R.T. & Baltagi, B.H., 1994. "Prediction from the Regression Model with one-way Error Components," Papers 9405, Michigan State - Econometrics and Economic Theory.

  10. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
    Published as:

  11. Baillie, R.T. & Osterberg, W.P., 1993. "Central Bank Intervention and Risk in the Forward Premium," Papers 9109, Michigan State - Econometrics and Economic Theory.

  12. Baillie, R.T. & Bollerslev, T., 1993. "The Long Memory of the Foreward Premium," Papers 9203, Michigan State - Econometrics and Economic Theory.
    Published as:

  13. Baillie, R.T. & Chung, C.F. & Tieslau, M.A., 1992. "A Lond Memory and Variability of Inflation: A Reappraisal of The Friedman Hypothesis," Papers 9102, Michigan State - Econometrics and Economic Theory.

  14. Baillie, R.T. & Chung, C,F. & Tieslau, M.A., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Papers 9246, Tilburg - Center for Economic Research.

  15. Tieslau, M.A. & Schmidt, P. & Baillie, R.T., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Papers 9247, Tilburg - Center for Economic Research.
    Other versions:

  16. Richard T. Baillie & Owen F. Humpage, 1992. "Post-Louvre intervention: did target zones stabilize the dollar?," Working Paper 9203, Federal Reserve Bank of Cleveland. [Downloadable!]

  17. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Paper 9109, Federal Reserve Bank of Cleveland. [Downloadable!]

  18. Baillie, R.T. & Bollerslev, T. & Redfearn, M., 1991. "Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange," Papers 9152, Tilburg - Center for Economic Research.

  19. Baillie, R.T. & Bollerslev, T. & Redfearn, M.R., 1991. "Bear Squeezes in the Hyperinflation 1920s Foreign Exchange," Papers 9006, Michigan State - Econometrics and Economic Theory.

  20. Baillie, R.T. & Pecchenino, R.A., 1991. "The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model," Papers 9003, Michigan State - Econometrics and Economic Theory.
    Published as:

  21. Baillie, R.T. & Bollerslev, R.T., 1990. "Prediction In Dynamic Models With Time Dependent Conditional Variances," Papers 8815, Michigan State - Econometrics and Economic Theory.
    Published as:

  22. Baillie, R.T. & Myers, R.J., 1989. "Modeling Commodity Price Distribution And Estimating The Optimal Futures Hedge," Papers 8814, Michigan State - Econometrics and Economic Theory.
    Other versions:

  23. Baillie, R.T. & Bollerslev, T., 1989. "Intra Day And Inter Market Volatility In Foreign Exchange Rates," Papers 8811, Michigan State - Econometrics and Economic Theory.
    Published as:

  24. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.

  25. Baillie, R.T. & Bollerslev, T., 1988. "Further Results On Unit Roots And The Cointegrability Of Daily Spot And Forward Exchange Rates," Papers 8715, Michigan State - Econometrics and Economic Theory.

  26. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.

  27. Baillie, R.T. & Degennaro, R., 1988. "The Impact Of Delivery Terms On Stock Return Volatility," Papers 8804, Michigan State - Econometrics and Economic Theory.

  28. Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.

Articles

  1. Baillie, Richard T. & Kilic, Rehim, 2006. "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 22-47, February. [Downloadable!] (restricted)
    Other versions:

  2. Baillie, Richard T. & Cecen, Aydin A. & Erkal, Cahit & Han, Young-Wook, 2004. "Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 401-418, December. [Downloadable!] (restricted)

  3. Koul, Hira L. & Baillie, Richard T. & Surgailis, Donatas, 2004. "Regression Model Fitting With A Long Memory Covariate Process," Econometric Theory, Cambridge University Press, vol. 20(03), pages 485-512, June. [Downloadable!]

  4. Baillie, Richard T. & Chung, Sang-Kuck, 2002. "Modeling and forecasting from trend-stationary long memory models with applications to climatology," International Journal of Forecasting, Elsevier, vol. 18(2), pages 215-226. [Downloadable!] (restricted)

  5. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
    Published as:

  6. Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana, 2002. "Price discovery and common factor models," Journal of Financial Markets, Elsevier, vol. 5(3), pages 309-321, July. [Downloadable!] (restricted)

  7. Baillie, R. & Crato, N. & Ray, B. K., 2002. "Introduction," International Journal of Forecasting, Elsevier, vol. 18(2), pages 163-165. [Downloadable!] (restricted)

  8. Baillie, Richard T & Han, Young-Wook, 2001. "Testing Target-Zone Models Using Efficient Method of Moments: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 273-76, July.

  9. Baillie, Richard T., 2000. "Central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 225-228, December. [Downloadable!] (restricted)

  10. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August. [Downloadable!] (restricted)

  11. Baillie, Richard T. & Osterberg, William P., 2000. "Deviations from daily uncovered interest rate parity and the role of intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 363-379, December. [Downloadable!] (restricted)

  12. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 407-421, December. [Downloadable!] (restricted)

  13. Baillie, Richard T, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 273-76, July.

  14. Baillie, Richard T. & Girardin, Eric & Lothian, James R. & McFarland, James W., 1997. "Papers in honor of Patrick C. McMahon," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 879-883, December. [Downloadable!] (restricted)

  15. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December. [Downloadable!] (restricted)

  16. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November. [Downloadable!] (restricted)

  17. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 249-264. [Downloadable!] (restricted)

  18. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb.. [Downloadable!] (restricted)

  19. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September. [Downloadable!] (restricted)

  20. Baillie, Richard T. & King, Maxwell L., 1996. "Editors' introduction: Fractional differencing and long memory processes," Journal of Econometrics, Elsevier, vol. 73(1), pages 1-3, July. [Downloadable!] (restricted)

  21. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July. [Downloadable!] (restricted)

  22. Baillie, Richard T & Bollerslev, Tim, 1994. "The long memory of the forward premium," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 565-571, October. [Downloadable!] (restricted)
    Other versions:

  23. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June. [Downloadable!] (restricted)
    Other versions:

  24. Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R., 1993. "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 511-521, October. [Downloadable!] (restricted)

  25. Baillie, Richard T. & Palm, Franz C. & Pfann, Gerard A. & Vermaelen, Theo J. & Wolff, Christian C. P., 1993. "Statement by the editors," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 1-2, June. [Downloadable!] (restricted)

  26. Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, vol. 18(4), pages 791-806.

  27. Baillie, Richard T. & Bollerslev, Tim, 1992. "Prediction in dynamic models with time-dependent conditional variances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 91-113. [Downloadable!] (restricted)
    Other versions:

  28. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun. [Downloadable!] (restricted)

  29. Baillie, Richard T & Bollerslev, Tim, 1991. "Intra-day and Inter-market Volatility in Foreign Exchange Rates," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 565-85, May. [Downloadable!] (restricted)
    Other versions:

  30. Baillie, Richard T. & Pecchenino, Rowena A., 1991. "The search for equilibrium relationships in international finance: the case of the monetary model," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 582-593, December. [Downloadable!] (restricted)
    Other versions:

  31. Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September. [Downloadable!] (restricted)

  32. Baillie, Richard T, 1989. "Forecast Master: A Review," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 305-07, July-Sept. [Downloadable!] (restricted)

  33. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March. [Downloadable!] (restricted)

  34. Alexander, Don & Baillie, Richard T. & Thomas, Lee, 1987. "Introduction," International Journal of Forecasting, Elsevier, vol. 3(1), pages 1-1. [Downloadable!] (restricted)

  35. Baillie, Richard T. & Selover, David D., 1987. "Cointegration and models of exchange rate determination," International Journal of Forecasting, Elsevier, vol. 3(1), pages 43-51. [Downloadable!] (restricted)

  36. Baillie, Richard T., 1987. "Inference in dynamic models containing 'surprise' variables," Journal of Econometrics, Elsevier, vol. 35(1), pages 101-117, May. [Downloadable!] (restricted)

  37. Baillie, Richard T., 1986. "Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771," International Journal of Forecasting, Elsevier, vol. 2(3), pages 393-394. [Downloadable!] (restricted)

  38. Baillie, Richard T. & McMahon, Patrick C., 1986. "Estimation and testing of the term structure of the forward premium under rational expectations," Journal of Macroeconomics, Elsevier, vol. 8(3), pages 387-391. [Downloadable!] (restricted)

  39. Bailey, Ralph W & Baillie, Richard T & McMahon, Patrick C, 1984. "Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market," Oxford Economic Papers, Oxford University Press, vol. 36(1), pages 67-85, March. [Downloadable!] (restricted)

  40. Baillie, Richard T & Lippens, Robert E & McMahon, Patrick C, 1983. "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 51(3), pages 553-63, May. [Downloadable!] (restricted)

  41. Baillie, Richard T., 1983. "Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates," Economics Letters, Elsevier, vol. 13(2-3), pages 201-206. [Downloadable!] (restricted)

  42. Baillie, Richard T, 1981. "Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, Econometric Society, vol. 49(5), pages 1331-37, September. [Downloadable!] (restricted)

  43. Baillie, R T & McMahon, P C, 1981. "Interest Rates and Investment in West Germany," Empirical Economics, Springer, vol. 6(1), pages 1-9.

  44. Baillie, Richard T. & McMahon, Patrick C. & Smyth, David J., 1980. "Testing the permanent income hypothesis using a general rational lag formulation," Economics Letters, Elsevier, vol. 5(1), pages 39-43. [Downloadable!] (restricted)

  45. Baillie, Richard T., 1980. "Predictions from ARMAX models," Journal of Econometrics, Elsevier, vol. 12(3), pages 365-374, April. [Downloadable!] (restricted)

Editor

  1. Journal of Empirical Finance, Elsevier.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2005-05-14
  2. NEP-ECM: Econometrics (3) 2006-09-23 2007-03-24 2007-04-09 Author is listed
  3. NEP-ETS: Econometric Time Series (4) 2005-05-14 2006-09-23 2007-03-24 2007-04-09 Author is listed
  4. NEP-FMK: Financial Markets (2) 2005-07-18 2006-09-23 Author is listed
  5. NEP-IFN: International Finance (2) 2005-05-14 2006-09-23 Author is listed
  6. NEP-MST: Market Microstructure (1) 2007-04-09
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